The Log-Linear Regression: Usage for Long-Term Financial Asset Analysis

In finance, various studies have explored the use of regression models in forecasting stock prices […] based on historical data and other relevant variables 1 . Among these models, the log-linear regression model is of particular importance due to its relationship with the geometric Brownian motion (GBM) asset pricing model introduced by Paul Samuelson 2 and at the heart of the Black–Scholes formula 3 . In this blog post, I will describe that regression model, explain why it is theoretically relevant for analyzing the evolution of asset prices over the long-term and show how it can be used in